There are some known problems that may abort data comparison process:
When a connection is opened, a connection pool that stores low-level connections and keeps them open to reduce performance loss when re-opening these connection is created. Data Compare for SQL Server uses the ADO.NET model for data access, where pool timeout is 10 minutes, whereas Azure closes low-level connections after 5 minutes timeout. That’s why you get the above message when trying to access data.
Microsoft ADO.NET developers should correct such behaviour.